The former England manager spent three years with German outfit Hamburg and became a hero with the Rothosen faithful after switching there from Liverpool in 1977.
"[It benefited me] tremendously," Keegan told Sports Mole. "I was 27 and had already played 50 times for England when I moved abroad. I knew I could play at the highest level because I was doing it.
"It's a great thing when you move to a foreign club and you know you can do your job and you don't doubt it."
However, Keegan believes that there are number of reasons why the majority of English players opt to play out their entire career in the Premier League.
"Why would they go there? The money is here. Why are you going to leave when you can play in what is an exciting league and not have to leave home," he added. "Not having to learn a new language and the upheaval of moving house and the travel.
"They are also coming through now at 18 and 19 and people are expecting them to be men. They've still got no experience. If you go at 19 you think 'Oh wow, Inter Milan' for example."
You can read our in-depth interview with Keegan here.